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Index.dat is a system file that keeps track of your web surfing. There is software out there that can pretty much clean your history and cookie folders, like Spiderbite, but your best bet is to manually delete index.dat from MS DOS everytime you boot your system.

Try looking into C:\WINDOWS\Cookies . All the cookies should be store there. You can select all and delete it. But somehow you can't delete some of it. So, you boot your computer from DOS and try deleting from DOS. If it does't work perhap's someone else got a better idea.

I have noticed that you cant delete the index in the cookies folder. I tried deleting under dos but it didnt work. All i could think of doing was opening it under notepad, selecting all then delete then replacing existing file. This works but i have noticed that IE runs real slow then. What exactly is the index any way?